On 4 August 2006 at 19:26, Jens Hainmueller wrote: | Why do commonly used estimator functions (such as lm(), glm(), etc.) not | allow negative case weights? I suspect that there is a good reason for this.
That came up on r-sig-finance a little while ago. As usual, Gabor won the contest for most precise and concise answer with: [..] At any rate, note that if the weights can be negative then the sum of squares to be optimized is no longer a convex function of the coefficients so we really don't have a conventional least squares model and uniqueness and existence have possibly different answers. See the r-sig-finance archives for April 2006 and a thread entitled 'negative weights'. Hth, Dirk -- Hell, there are no rules here - we're trying to accomplish something. -- Thomas A. Edison ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.